Year
2014
Authors
RAMOS Sofia, DIAS José
Abstract
This paper makes a joint analysis of the price of oil, natural gas, and electricity in U.S. markets using a multi-regime specification that captures the stylized facts of energy prices. Oil and natural gas returns have similar regime dynamics and are well characterized by a high and low volatility regime.
RAMOS, S. et DIAS, J. (2014). Energy price dynamics in the U.S. market. Insights from a heterogeneous multi-regime framework. Energy, 68(15), pp. 327-336.